Monte Carlo simulation of nonlinear diffusion processes. II

DOI10.1007/BF03167212zbMath0798.60060OpenAlexW4238728864MaRDI QIDQ1325130

Shigeyoshi Ogawa

Publication date: 1 November 1994

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf03167212

zbMATH Keywords

second order approximationstochastic differential equationsMonte Carlo simulationdensity estimationnonlinear diffusions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites Work

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• A survey of numerical methods for stochastic differential equations
• Monte Carlo simulation of nonlinear diffusion processes
• The stochastic integral of noncausal type as an extension of the symmetric integrals
• A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
• On Estimation of a Probability Density Function and Mode